scholarly journals Monte Carlo methods via a dual approach for some discrete time stochastic control problems

2014 ◽  
Vol 81 (1) ◽  
pp. 109-135 ◽  
Author(s):  
Lajos Gergely Gyurkó ◽  
Ben M. Hambly ◽  
Jan Hendrik Witte
Keyword(s):  
Monte Carlo ◽  
Stochastic Control ◽  
Discrete Time ◽  
Monte Carlo Methods ◽  
Control Problems ◽  
Dual Approach ◽  
Stochastic Control Problems

scholarly journals Convexity and convex approximations of discrete-time stochastic control problems with constraints

Automatica ◽  
2011 ◽  
Vol 47 (9) ◽  
pp. 2082-2087 ◽  
Author(s):  
Eugenio Cinquemani ◽  
Mayank Agarwal ◽  
Debasish Chatterjee ◽  
John Lygeros
Keyword(s):  
Stochastic Control ◽  
Discrete Time ◽  
Control Problems ◽  
Stochastic Control Problems ◽  
Convex Approximations
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